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CashBackForex - Often Imitated, Never Duplicated!
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Currency Specs Sell the USD-COT Report 01 15 2013
Submitted by Ralph Shell
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6:38 AM Jan 21 2013
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1554 Views |
3 Comments
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 (4 Votes)
Currency speculators increased their USD shorts taking their net short position in the Dollar to over 200K contracts for the first time in months; this is up from our revised number from last week of 143.5K. We found a mistake in last week's entries and had to make a downward adjustment when it was discovered this week. The US government is always making adjustments so we do not feel too bad about the error.
The error involved 10.6K contracts of euro longs when they were really short. This week, both specs switched to the long side of the euro.
Last week, the biggest open position was short 117.2K of the Japanese yen, but specs took the position down to 107.2K this week. That makes a long position of 113.5K in the Australian the biggest spec position.
Specs continue to favor the long side of the commodity currencies and added to those positions. The total spec long the Australian, Canadian and New Zealand Dollar and USD short has gone up to 238.1K. This is their biggest position in the last three months.
Please note the Swiss Franc comments. Since the end of the cut-off date for this report, those long the SF and short the euro have had to deal with some major adversity.
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US Dollar Index: The OI increased slightly, up 3K as both spec groups made modest additions to their long positions. The small specs are a 2 ratio long in the DI. The large specs are net long 6.4K and changed the position little in the last week.
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Euro (EUR/USD): The OI in the euro increased by over 10% as both size specs flipped to the long side of the euro. The total spec long is now 10.6K which flipped from a short euro position in the previous week. (Please note there was an error in the previous week's report as the specs were reported long the euro and they were instead still short by 11.2K.) It looks like the buying from under 1.31 to over 1.33 was new longs placing their bets.
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British Pound Sterling (GBP/USD): Both size specs added to their long positions during the period. The total pound long increased to 46.1K, up from 42.5K in the previous period. After the cut-off date for the data included in this report, the pound sold off sharply so the longs have paid a price. We would guess there will be a reduction in pound longs on next week's report.
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Japanese Yen (JPY/USD): The short spec yen position was reduced by 10K contracts during the week; however, the large spec remains a 2.8 ratio long and the small spec is a 2.7 to one long. The total yen short remains quite large, 107.2K. The spreading OI is quite large, 28K, indicating a large option trade in the yen.
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Swiss Franc (CHF/USD): The small spec has been a 1.9 ratio long and the big spec has been a 3-to-1 long in the SF. There were nominal reductions in the longs spec holding by both size specs. Looking at the Swiss franc compared to the euro, there has been some major losses in the long SF versus the euro. Perhaps this accounts for some of the Swiss franc market's long reduction.
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Canadian Dollar (CAD/USD): Large spec, despite being large longs, bought some more loonies and are now a 16.4-to-1 ratio long. Small specs are also long but only by a 2.7 ratio. The total spec long is approaching 99K. The late week market action hurt the C$ longs.
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New Zealand Dollar (NZD/USD): Specs continue to buy the NZ$. Small specs are approaching a 3 ratio long and the large specs a 4-to-1 long. The Kiwi remains quite popular in the portfolio of those acquiring commodity currencies. Some of the NZ$ strength may be against cross-selling of the yen.
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Australian Dollar (AUD/USD): Spec-buying in the A$ continues taking the open interest up and the total spec long higher. The total A$ spec long is now 113.6K as the small specs hold a 2-to-1 long and the large hold about a 3-to-1 long. Despite the continued spec buying with the consequent increase in the open interest the A$ has been unable to break to the upside into new high ground. Perhaps, however, we are judging this against the USD when the real play is against the yen.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through January 15, 2013 |
| US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
47,347
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31,535
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25,141
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4,581
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2,242
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8,733
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17,465
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| Change:
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1,971
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2,087
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1,460
|
444
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-196
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-973
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294
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| % Open Interest:
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66.6
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53.1
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9.7
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4.7
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18.4
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36.9
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
255,620
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79,789
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73,214
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60,810
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56,778
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89,670
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100,277
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| Change:
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28,590
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12,487
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-2,408
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8,661
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1,730
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1,042
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22,869
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| % Open Interest:
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31.2
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28.6
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23.8
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22.2
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35.1
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39.2
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| British Pound Sterling (GBP/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
173,529
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63,741
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36,143
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38,456
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19,972
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65,979
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112,061
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| Change:
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-779
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3,388
|
985
|
413
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-817
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-5,910
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-2,278
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| % Open Interest:
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36.7
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20.8
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22.2
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11.5
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38.0
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64.6
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
245,118
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38,279
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103,895
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24,827
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66,455
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153,989
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46,744
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| Change:
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14,467
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7,995
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-1,525
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4,349
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3,853
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-4,902
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5,114
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| % Open Interest:
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15.6
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42.4
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10.1
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27.1
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62.8
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19.1
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
44,708
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18,914
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6,312
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18,620
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9,685
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6,652
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28,190
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| Change:
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-3,297
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-378
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-3,148
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-4,612
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1,628
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1,814
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-1,657
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| % Open Interest:
|
|
42.3
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14.1
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41.6
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21.7
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14.9
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63.1
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
153,066
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72,903
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4,437
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47,784
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17,290
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29,625
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128,586
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| Change:
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8,900
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2,420
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-1,873
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3,379
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-324
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2,299
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10,296
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| % Open Interest:
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47.6
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2.9
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31.2
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11.3
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19.4
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84.0
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| New Zealand Dollar (NZD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
38,654
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29,920
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7,658
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5,170
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1,793
|
3,202
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28,841
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| Change:
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2,123
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3,285
|
243
|
238
|
-181
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-1,533
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1,928
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| % Open Interest:
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77.4
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19.8
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13.4
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4.6
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8.3
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74.6
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| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
213,274
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136,766
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47,516
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46,371
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22,065
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26,285
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139,841
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| Change:
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21,608
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14,584
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6,264
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5,592
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-795
|
730
|
15,437
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| % Open Interest:
|
|
64.1
|
22.3
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21.7
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10.3
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12.3
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65.6
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To view the COT report released by the CFTC please see the attached files.
For general information about the COT report please see the article The CFTC Commitment of Trader Report
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Comments
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Shortcuts and Syndication
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Author Bios
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Ralph Shell: Ralph did his graduate studies in economics and history at Duke University. He has ten years experience trading cash commodities in domestic and export markets and is a former commodity analyst with Merrill Lynch in Chicago. He was a member of and floor trader at the Chicago Board of Trade for 18 years.
Forex Captain: The Forex Captain has been a strategy developer and forex trader since 1998. From 2002 till 2009 he ran a successful managed account based on his tradestation coded strategies at FXCM. In 2007 his managed fund was ranked in BarclayHedge Rankings as one of the Top 10 Currency Traders managing less than $10M & more than $1M. Since 2009 he has been developing Expert Advisors in MQL4 for private trading, and from June 2010 he has joined the Project Triumph team as a currency analyst and project manager.
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